Over the last decades, nanomechanical sensors have received significant attention from the scientific community, as they find plenty of applications in many different research fields, ranging from fundamental physics to clinical diagnosis. Regarding biological applications, nanomechanical sensors have been used for characterizing biological entities, for detecting their presence, and for characterizing the forces and motion associated with fundamental biological processes, among many others. Thanks to the continuous advancement of micro- and nano-fabrication techniques, nanomechanical sensors have rapidly evolved towards more sensitive devices. At the same time, researchers have extensively worked on the development of theoretical models that enable one to access more, and more precise, information about the biological entities and/or biological processes of interest. This paper reviews the main theoretical models applied in this field. We first focus on the static mode, and then continue on to the dynamic one. Then, we center the attention on the theoretical models used when nanomechanical sensors are applied in liquids, the natural environment of biology. Theory is essential to properly unravel the nanomechanical sensors signals, as well as to optimize their designs. It provides access to the basic principles that govern nanomechanical sensors applications, along with their intrinsic capabilities, sensitivities, and fundamental limits of detection.